The Society of Infallible Detectives
Sherlock Holmes and a band of his most infallible deductive friends solve mysteries. Infallibly, of course. "The Adventure of the Mona Lisa" appeared in January 1912 in The Century magazine, and "The Adventure of the Clothes-Line" in the same magazine in May 1915.
Source The Century magazine, January 1912
Mystery and humor writer Carolyn Wells' two crossover stories invented the concept of a modern league of heroes. (Homer and the Argonaut legends did it back in the day.) She also wrote The Technique of the Detective Story, an instruction manual.
I'll put up the second story later today.